Habit persistence, money, and overlapping generations

This paper provides a comprehensive characterization of the stationary and non-stationary monetary equilibria in a two-period pure exchange overlapping generations model with multiplicative habit persistence preferences. Somewhat surprisingly, the upshot is that multiplicative habit persistence preferences do not affect the qualitative properties of the dynamical system in these models. In addition, the qualitative properties of models with subtractive and multiplicative habits are largely similar. Any possibility of cyclical fluctuations beyond periodicity two is also ruled out.     

Active intermediation in a monetary overlapping generations economy

This paper establishes that the profit-seeking activities of private intermediaries can ensure Pareto efficiency in the standard pure-exchange monetary overlapping generations economy without the need for government monetary or fiscal policy intervention. Moreover, these profit-seeking activities are shown to rule out all aperiodic and k-periodic cycles for k greater than 2. Contrary to much recent work on intermediation, the profit opportunities that arise for intermediaries in this context are not due to assumed frictions or asymmetric information. Rather, they are due to the dynamic open-ended structure of the economy, which permits debt roll-over.     

Local determinacy of prices in an overlapping generations model with continuous trading

We characterize the determinacy properties of the intertemporal equilibrium for a continuous-time, pure-exchange, overlapping generations economy with logarithmic preferences. Using recent advances in the theory of functional differential equations, we show that the equilibrium is locally unique and that prices converge to a balanced growth path and are determined.     

Financial intermediation in an overlapping generations model with transaction costs

We analyze an overlapping generations economy where agents interact to share liquidity risk. We show that a pure exchange economy has excessive trade in equilibrium because agents interact to rebalance their portfolios. Intergenerational financial intermediaries reduce the number of interactions because agents only transact when they face liquidity needs. In the absence of asset risk, intermediaries match redemptions with deposits and dividends, and never sell assets. If the economy is subject to transaction costs, the intermediated economy can sustain higher stationary investment and welfare. We also find that dead weight transaction costs can increase welfare because it protects banks from interbank arbitrage and dampens the inherent cyclicality of market economies.     

Cyclical equilibria in multi-sector productive economies: The role of substitution and factor intensity

The paper examines the existence of cyclical perfect foresight equilibria in a two-sector overlapping generations economy with production in which both goods enter consumption. Conditions for the existence of two types of cyclical equilibra are obtained in terms of elasticities of substitution in production and consumption, factor shares in production, and expenditure shares in consumption. The role of substitution possibilities and factor intensities is highlighted. It is shown that factor intensity assumptions are not enough to rule out cyclical equilibria and that limit cycles may exist for substantial amounts of substitution possibilities in production; what matters is the relative sizes of the consumption and production elasticities. The results are illustrated using CES functions. A dynamical simulation of an economy which exhibits a Hopf cycle is presented.     

Taxing capital is a good idea: The role of idiosyncratic risk in an OLG model

We investigate an overlapping generations (OLG) model in which agents who live for two periods receive idiosyncratic productivity shocks when they are old. We show that, around zero tax equilibria, we can always construct a combination of a small capital tax and a lump-sum transfer that are Pareto-improving. As Dávila et al. (Econometrica (2012)) show, a capital reduction in one period raises the welfare level of agents who are old in that period, but lowers that of the young agents, because it reduces their wages. We show that the government can compensate for these wage losses by additionally taxing the old agents, such that their welfare gains remain positive. Our result is unchanged when earnings are uncertain at young age.     

Growth effects of annuities and government transfers in perpetual youth models

We show that in overlapping generations endogenous growth models with uncertain lifetime, the introduction of government transfers always increases economic growth by crowding out the private annuity market and increasing accidental bequests. In particular, if the government imposes a flat-rate consumption tax (which is neutral to the consumption–saving margin), uses part of the tax revenue for unproductive purposes, and rebates the rest equally across agents as a lump-sum transfer, the economy grows faster and improves the welfare of future generations.     

Population ageing and pension reform in a small open economy with non-traded goods

In this paper we study the implications of population ageing in an economy with a sizeable non-traded goods sector. To this effect a highly stylized micro-founded macro model is constructed in which the age structure of the population plays a non-trivial role. The model distinguishes separate birth and death probabilities (thus allowing for net population change), allows for age-dependent labour productivity (thus mimicing life-cycle saving), and includes a rudimentary pension system (thus allowing for intergenerational redistribution). The model is used to analytically study demographic and pension shocks.     

Recursive equilibrium in stochastic OLG economies: Incomplete markets

We prove generic existence of recursive equilibrium for overlapping generations economies with uncertainty and incomplete financial markets. Generic here means in a residual set of utilities and endowments. The result holds provided there is sufficient intragenerational household heterogeneity, and transition probabilities and the asset payoff matrix satisfy mild regularity conditions. The paper also provides a new methodological technique to establish comparative statics, or perturbation, properties in such environments.     

Trade-offs in means tested pension design

The means-testing of age pension programs allows governments to control the receipt of pension benefits (extensive margin) and the benefit level (intensive margin). We investigate how the presence of the extensive margin influences the trade-off between protecting the poorer elderly and the economic costs of distorting incentives to work and save of young individuals. The means-test effect via the extensive margin improves the insurance aspect but introduces opposing impacts on incentives that potentially have ambiguous welfare outcomes. We characterize combinations of the maximum pension benefit and taper rate that balance the negative incentive effects and positive insurance effects.     

On the optimal size of Social Security in the presence of a stock market

The paper develops a stylized overlapping generations economy with random production and a stock market. The impact of a Social Security system on production, asset markets, and consumer welfare is analyzed. It is shown that any reduction in the contribution rate fosters capital accumulation and increases asset prices, wages, and production output. Different welfare criteria are applied to determine the optimal size of Social Security. It is shown that there exists a unique contribution rate which is long-run optimal, socially optimal, and time-consistent in the sense that no generation has an incentive to change it.     

郑州地铁施工测量与监测方案探讨

监控量测是地铁施工过程中非常重要的一个环节。文章针对地铁施工监控量测方案进行了探讨,力求为类似工程提供技术参考。     

On the long-run relationship between inflation and output in a spatial overlapping generations model

The paper builds a model that features spatial differentiation of markets, and then uses it to study, first, the relationship between inflation and the steady-state level of output, and second, the relationship between inflation and the steady-state distribution of output across the economy. A steady-state of the model entails a stationary distribution of money across the locations of the economy. With all else held fixed, a change in the rate of money-growth induces a change in the distribution of money, which leads to a change in labour supply and production throughout the economy. Thus the distribution of money provides a channel through which a change in monetary policy affects real economic activity.     

Estimating a distribution function in the presence of auxiliary information

For estimating the distribution functionF of a population, the empirical or sample distribution functionF _n has been studied extensively. Qin and Lawless (1994) have proposed an alternative estimator for estimatingF in the presence of auxiliary information under a semiparametric model. They have also proved the point-wise asymptotic normality of . In this paper, we establish the weak convergence of to a Gaussian process and show that the asymptotic variance function of is uniformly smaller than that ofF _n . As an application of , we propose to employ the mean and varianceŜ _n ² of to estimate the population mean and variance in the presence of auxiliary information. A simulation study is presented to assess the finite sample performance of the proposed estimators , andŜ _n ² .     

Geometrical Interpretation of the Mean and the Constant in a Box-Jenkins Time Series Model

Certain manuals and computer programs mistakenly identify the mean with the constant in Box-Jenkins time series models. In this paper, it will be shown that (a) the mean and the constant have different values in autoregressive models, and (b) they have an algebraic and graphical relationship.     

Patient enrollment in medical trials: Selection bias in a randomized experiment

Self-selection can bias estimates of treatment effects from randomized experiments if one is interested in extrapolating results to the general population. This paper notes that there is an isomorphism between the Roy model for the sorting of workers into sectors and the decision of subjects to participate in randomized experiments. The main implication is that, as the probability of receiving active treatment rises, patients who are less optimistic about new treatment will begin to enroll and estimates of treatment effects will fall. This, in turn, implies that selection bias is positive. These findings are confirmed with data from trials of ulcer medications.     

Quasi-likelihood inference in a generalized linear mixed model for balanced data

For modelling the effect of crossed, fixed factors on the response variable in balanced designs with nested stratifications, a generalized linear mixed model is proposed. This model is based on a set of quasi-likelihood assumptions which imply quadratic variance functions. From these variance functions, deviances are obtained to quantify the variation per stratification. The effects of the fixed factors will be tested, an dispersion components will be estimated. The practical use of the model is illustrated by reanalysing a soldering failures problem.     

三峡库区万州某中学高边坡支护方案价值分析

利用价值工程原理对三峡库区万州某中学新校址高边坡的加固方案进行评估。评估比较发现,在满足稳定性要求的情况下,锚索抗滑桩方案的价值要优于锚索格构方案的价值。同时利用价值工程原理对所选用方案的各分项工程的功能进行优化,使功能与成本更趋合理。最大限度的满足了功能的需求度,降低了成本,创造了较好的经济效益。     

Forecasting short-term defaults of firms in a commercial network via Bayesian spatial and spatio-temporal methods

To protect financial institutions from unexpected credit losses, during the monitoring phase of granted loans it is of primary importance to foresee any evidence of a contagion of liquidity distress across a network of firms. This term indicates a situation of lack of solvency of a firm (e.g., a customer) that propagates to other firms (e.g, its suppliers), which could consequently face challenges in repaying their own granted loans. In this paper, we look for the evidence of contagion of liquidity distress on an Intesa Sanpaolo proprietary dataset by means of Bayesian spatial and spatio-temporal models. Our results indicate that such models can detect cases of distress not yet apparent from covariate information collected on the firms by instead borrowing information from the network, leading to improved forecasting performance on the prediction of short-term default with respect to state-of-the-art methods.